ProfessorPaolo Zaffaroni

Paolo is Professor in Financial Econometrics at the Finance Department of Imperial College Business School. He has a degree in Economics and Statistics (110/110 Lode) from Sapienza University of Rome, an MSc in Econometrics and Mathematical Economics (Ely Devons Prize for Top Distinction) from the LSE, and a PhD in Econometrics from the LSE. He is also teaching at the University of Rome La Sapienza, and has previously taught at the LSE (Finance Department), and at the University of Cambridge (Faculty of Economics). Paolo acts as a quantitative consultant in asset and risk management and as an instructor of executive courses for various financial institutions.



Paolo's main research interests are empirical asset pricing, portfolio choice, financial econometrics, and econometric theory. Paolo's publications include among others The Annals of Statistics, The Journal of the American Statistical Association, The Journal of Econometrics,  Management Science, The Journal of Monetary Economics, The Journal of Political Economy, The Review of Financial Studies, and Econometric Theory. Paolo's work includes:

ASSET PRICING
cross-sectional asset pricing
portfolio choice
testing for anomalies
factor models
inference on risk premia
conditional asset pricing

ECONOMETRIC THEORY and FINANCIAL ECONOMETRICS
volatility
generalized dynamic factor models




Here are some recent papers grouped by topic:



ASSET PRICING

''Asset Pricing with Statistical Arbitrage', joint with M. DelloPreite and V. Raponi, 2026.

"Testing Beta-Pricing Models Using Large Cross-Sections " joint with C Robotti and V Raponi, RFS, 2020.

"Cross-Sectional Asset Pricing with Unsystematic Risk?" joint with M. DelloPreite, R. Uppal, I. Zviadadze, RR on RFS, 2026.

"Factor Models for Conditional Asset Pricing", JPE forthcoming, 2025.

"Dissecting Anomalies in Conditional Asset Pricing" joint with V. Raponi,  MS forthcoming, 2026.

"Testing for Weak Factors in Asset Pricing" joint witjh S. Kim and V. Raponi.

"Long memory affine term structure models" joint with A. Golinski, JOE 2016.


ECONOMETRIC THEORY

Estimating the Number of Dynamic Factors by Frequency Band", joint with M. Avarucci, M. Cavicchioli, and M. Forni,  JASA forthcoming, 2026.

"Inferential Theory for Generalized Dynamic Factor Models" joint with M. Barigozzi, M. Hallin, and M. Luciani, JOE, 2024.

"Estimating the Number of Latent Factors: A Comparative Analysis" joint with M. Avarucci and V. Raponi, Econometric Reviews forthcoming, 2026.

"Generalized least squares estimation of panel with common shocks", with M. Avarucci, JASA, 2023.